Can history resolve factor investors’ p-hacking questions?
Quants seek reassurance in the far distant past
The economist Campbell Harvey showed back in 2017 that many of the proliferation of factor strategies – famously dubbed the Factor Zoo – were statistically dubious.
Ever since, the question of so-called p-hacking has hung over the field. P-hacking is when quants formulate strategies that work in backtests but depend on chance patterns in history that fail to repeat.
Recent underperformance has
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